Short-term risk in Axioma’s global multi-asset class model portfolio soared 0.70% to 4.92% as of Friday, February 7, 2020, as standalone equity volatility jumped by 4.5 percentage points to 12.5%, amid the global stock-market rebound. The rise in total risk was mostly reflected in the three equity buckets, which saw their joint share of overall volatility surge by a combined 26%. However, much of this was offset by an opposing motion for the fixed-income assets in the portfolio, all of which now actively reduce overall risk, except for the high-yield category. The co-movement of the US dollar with the stock market was so strong amid the returning risk appetites that most foreign-currency assets now also decrease total portfolio volatility, as all other currencies depreciated against the greenback.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated February 7, 2020) for further details.